Macrofinancial interconnections in the Pacific Alliance: a quantile approach of stock markets and macroeconomic factors
Abstract
This study explores the macrofinancial interconnectedness within the Pacific Alliance (Chile, Colombia, Mexico, and Peru) by utilizing a Quantile Vector Autoregression (QVAR) approach to dissect the directional spillover effects between macroeconomic variables and MSCI stock indices. By employing autoencoder techniques for dimensionality reduction, the research decodes significant macroeconomic dimensions influencing stock market behaviours. The findings show patterns of spillover effects, highlighting the variable roles of these economies as transmitters and receivers of economic shocks, particularly after the Pacific Alliance agreement.
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A pleasure to work with this team
Orlando Joaqui Barandica
PhD Industrial Engineering
My research interests include energy markets, business analytics, quantitative finance, applied econometrics and statistical, and data visualization.